PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices

DOI10.1007/s10690-023-09420-zzbMath1542.91425MaRDI QIDQ6563721

Nobuhiro Nakamura, Kensuke Kato

Publication date: 27 June 2024

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

finite difference methodcredit riskCEV modelHamiltonian Monte CarlostockPDE-based Bayesian inference

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)

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